摘要
本文利用经典R/S分析和修正R/S分析方法对我国2005年7月21日至2010年10月29日的人民币兑美元汇率的每日中间报价进行分析,发现我国人民币兑美元汇率具有分形特征。同时以金融危机爆发时间为分界点,对前后区间的汇率特征进行对比,结果证明全球金融危机后我国外汇市场的非周期循环区间明显增大,长期记忆性特征也有所增强。
In this paper, R/S analysis and modified R/S analysis are applied to study the central parity of RMB against USD from July 21, 2005 to October 29, 2010. The conclusion indicates that RMB/USD exchange rate market has a clear fractal structure. Also, with the global finance crisis breakout time as a cut-off point, we divide the sample interval and compare the two intervals’ characteristics. The results show that after the crisis, the memory length is longer and long memory property is stronger.
出处
《现代物业（中旬刊）》
2011年第3期56-59,共4页
Modern Property Management
